DO DEALERS INFER INFORMATION FROM ORDER FLOW?
研究了纳斯达克市场中做市商的策略行为，发现每个证券存在一个领先报价做市商，其报价包含信息，其他做市商会跟随其报价变动，且将交易导向该领先做市商可能更有利。
Abstract I examine strategic behavior among dealers in the NASDAQ market and document that there is a lead quote‐setting dealer in each security and that the quotes posted by this leader are informative. Other dealers free‐ride this information by following the lead quote‐setting dealer. The lead dealer can be identified by two information signals: (1) percentage of time spent on the inside market (i.e., posting inside quotes), and (2) trade volume transacted. Dealers that free‐ride the leader's quotes quickly update their posted quotes in the same direction as the leader's quote change. My findings suggest that directing trade to the lead dealer may be more advantageous than randomly routing trade.